I assume that your native DLL is written in C ++, your .NET host is written in C #, and you used Visual Studio since you did not provide the information.
In this case, you can open your DLL project in Visual Studio and use Attach to Process in the Debug menu to debug your instance of your host application. Alternatively, you can set the project to run the application when starting from the DLL project.
I would suggest that you can also go and land at breakpoints if you started debugging from a .NET application, but I never did.
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